Venice
82 posts
msg #105895
- Ignore Venice
modified |
4/12/2012 3:02:39 PM
Just stumbled across this article and would love to give it a go.
http://www.marketwatch.com/story/parabolic-move-makes-apple-a-short-2012-04-12
Don't have the filter at the moment, but will look to doing it sometime this week. If anyone else wants to have a go at it, please do. I have never done standard deviation calcs before, so am at a bit of a loss here.
---- copied from the article ----
To recognize parabolic rallies and to profit from them, we use a clearly defined set of technical rules. A parabolic rally has three parameters:
- Two closes outside of a three-standard deviation channel of a 24-month Average True Range (ATR).
- Five-month moving average is within 20% of the three standard deviation of the 24 month ATR (monthly 3-ATR channel).
- Minimum drawdown from high to close is less than 15% in the past six months.
When a market moves outside of its monthly 3-ATR channel for two consecutive months, the monthly 5MA is within 20% of the 3ATR and it has not experienced a closing drawdown of more than 15% in the past six months, we consider this a parabolic move.
A market that goes parabolic does not have to crash immediately. A parabolic move can persist beyond any logical measure, but the longer it lasts, the more vicious the subsequent crash.
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